Weak order for the discretization of the stochastic heat equation driven by impulsive noise

DOI10.1007/S11118-012-9276-YzbMATH Open1263.60058arXiv0911.4681OpenAlexW2099067529MaRDI QIDQ1935447FDOQ1935447

Felix Lindner, R. L. Schilling

Publication date: 15 February 2013

Published in: Potential Analysis (Search for Journal in Brave)

Abstract: Considering a linear parabolic stochastic partial differential equation driven by impulsive space time noise, dX_t+AX_t dt= Q^{1/2}dZ_t, X_0=x_0in H, tin [0,T], we approximate the distribution of X_T. (Z_t)_{tin[0,T]} is an impulsive cylindrical process and Q describes the spatial covariance structure of the noise; Tr(A^{-alpha})<infty for some alpha>0 and A^�eta Q is bounded for some �etain(alpha-1,alpha]. A discretization (X_h^n)_{nin{0,1,...,N}} is defined via the finite element method in space (parameter h>0) and a heta-method in time (parameter Delta t=T/N). For phiin C^2_b(H;R) we show an integral representation for the error |Ephi(X^N_h)-Ephi(X_T)| and prove that |Ephi(X^N_h)-Ephi(X_T)|=O(h^{2gamma}+(Delta t)^{gamma}) where gamma<1-alpha+�eta.

Full work available at URL: https://arxiv.org/abs/0911.4681

zbMATH Keywords

finite elementsstochastic heat equationweak approximationadditive noise\(\theta\)-methodimpulsive cylindrical noise

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (18)

• Weak convergence of finite element approximations of linear stochastic evolution equations with additive Lévy noise
• The blow-up solutions of the heat equations in \(\mathcal{F} L^1(\mathbb R^N)\)
• Weak convergence rates of spectral Galerkin approximations for SPDEs with nonlinear diffusion coefficients
• Numerical approximation of stochastic evolution equations: convergence in scale of Hilbert spaces
• Weak convergence for a spatial approximation of the nonlinear stochastic heat equation
• Weak convergence rates for Euler-type approximations of semilinear stochastic evolution equations with nonlinear diffusion coefficients
• Weak convergence of a fully discrete approximation of a linear stochastic evolution equation with a positive-type memory term
• Weak order for the discretization of the stochastic heat equation
• Convergence of weak Euler approximation for nondegenerate stochastic differential equations driven by point and martingale measures
• Local search methods for the solution of implicit inverse problems
• Weak convergence of finite element approximations of linear stochastic evolution equations with additive noise. II: Fully discrete schemes
• Weak convergence rates for temporal numerical approximations of the semilinear stochastic wave equation with multiplicative noise
• Stochastic heat equation and martingale differences
• Duality in refined Sobolev-Malliavin spaces and weak approximation of SPDE
• A mild Itô formula for SPDEs
• Weak error estimates of the exponential Euler scheme for semi-linear SPDEs without Malliavin calculus
• Weak convergence rates for spatial spectral Galerkin approximations of semilinear stochastic wave equations with multiplicative noise
• Numerical analysis for neutral SPDEs driven by α-stable processes

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